Wanjun Jiang

Guang Hua School of Management, Peking University

Beijing

China

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Does VIX Truly Measure Return Volatility?

Number of pages: 35 Posted: 31 Aug 2014 Last Revised: 24 Jan 2018
Victor Chow, Wanjun Jiang and Victoria Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University and Tulane University - A.B. Freeman School of Business
Downloads 2,836 (3,907)

Abstract:

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Implied Volatility, VIX, Ex-ante Moments

2.

VIX Decomposed Tail Risk Premia and the Tail Risk Factor

Number of pages: 60 Posted: 14 Mar 2016 Last Revised: 16 Jan 2018
Victor Chow, Wanjun Jiang, Bingxin Li and Victoria Li
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University, West Virginia University and Tulane University - A.B. Freeman School of Business
Downloads 283 (105,499)

Abstract:

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Tail Risk, Jumps, Risk Premium, Asset Pricing Factor